C stock is currently at 100. In the next period, the price will either increase by10% or decrease by 10%. If the risk-neutral probability of the stock going up is equal to 0.65, what is the price of a one-month call option at a strike price of $102
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N3
ABC stock is currently at 100. In the next period, the price will either increase by10% or decrease by 10%. If the risk-neutral probability of the stock going up is equal to 0.65, what is the price of a one-month call option at a strike price of $102?
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- Suppose that the current price of Roblox Corporation common stock is (RBLX) is $100. If the price of RBLX will be either $150 or $50 one year from now, what is the price of a call option with a strike price of $120 expiring one year from now? Assume that the current risk free rate is 1%. What is the risk neutral probability of the stock being $150 one year from now?Assume a stock price is g120, and in the next year, it will either rise by 10 percent or fall by 20 percent. The risk-free interest rate is 6 percent. A call option on this stock has an exercise price of g130. What is the price of a call option that expires in one year? What is the chance that the stock price will rise?Consider a stock with a current price of P $27 Suppose that over the next 6 months the stock price will either go up by a factor of 1.41 or down by a factor of 071. Consider a call option on the stock with a strike price of $25 that expires in 6 months. The nsk-free rate is 6%. (1) Using the binomial model, what are the ending values of the stock price? What are the payoffs of the call option? (2) Suppose you write one call option and buy N shares of stock How many shares must you buy to create a portfolo with a riskless payoff Ge, a hedge portfolio)? What is the payoff of the portfolio? 13)What.is the.present.value of the hedge port- Tolot What &the value of phe calt.option? (4) What s a teplieatirg portfolio What is 2otrage?
- ABC stock is currently trading at 100. In the next period, the price will either go up by 10% or down by 10%. The risk-free rate of interest over the period is 5%. What is the delta for the put option on ABC for a strike 100? O +0.67 O-0.5 O +0.5 O -0.33 O None of theseAssume a stock price is P120, and in next year, it will either rise by 10 percent or fall by 20 percent. The risk-free interest rate is 6%. A call option on this stock has an exercise price of P130. What is the chance that the stock price will rise? a. 93% b. 87% c. 50% d. 94%Suppose that a stock price is currently 51 dollars, and it is known that one month from now, the price will be either 6 percent higher or 6 percent lower. Find the value of an American call option on the stock that expires one month from now, and has a strike price of 49 dollars. Assume that no arbitrage opportunities exist, and a risk free interest rate of 10 percent
- Suppose that a stock price is currently 35 dollars, and it is known that four months from now, the price will be either 51 dollars or 29 dollars. Find the value of a European call option on the stock that expires four months from now, and has a strike price of 39 dollars. Assume that no arbitrage opportunities exist and a risk-free interest rate of 10 percent.Answer =dollars.H2. Suppose that a stock price is currently 70 dollars, and it is known that at the end of each of the next two six-month periods, the price will be either 17 percent higher or 17 percent lower than at the beginning of the period. Find the value of an American put option on the stock that expires a year from now, and has a strike price of 76 dollars. Assume that no arbitrage opportunities exist, and a risk-free interest rate of 11 percent. Answer = dollars. Please show proper step by step calculationA stock trades at $100 today. In a year it will either be $120 or $30. What is the price of a $90-strike put today if the risk-free rate is 10%? Group of answer choices a. 6.06 b. 0.00 c. 60.60 d. 13.33
- A stock trades at $100 today. In a year it will either be $120 or $30. What is the price of a $90 - strike put today if the risk-free rate is 10% ? Group of answer choices a. 6.06 b. 0.00 c. 60.60 d. 13.33Suppose the value of the S&P 500 stock index is currently 2,000.a. If the 1-year T-bill rate is 3% and the expected dividend yield on the S&P 500 is 2%, what should the 1-year maturity futures price be?b. What if the T-bill rate is less than the dividend yield, for example, 1%?Consider a 3-month European call option on a non-dividend-paying stock. The current stock price is $20, the risk-free rate is 6% per annum, and the strike price is $20. Assume a risk-neutral world. You calculate the following values using the Black-Scholes-Merton model: d1 = 0.2000 N(d1) = 0.5793 d2 = 0.1000 N(d2) = 0.5398 a) What is the probability that the call option will be exercised? b) What is the expected stock price at the option’s expiration in 3 months? Assume that all values of the stock price less than $20 are counted as zero. c) What is the expected payoff on the option at expiration (in 3 months)? d) Calculate the PV of the expected payoff from part c).